Episode Details
Back to EpisodesHow to run your screens and be mindful of survivorship bias
Published 6 years, 2 months ago
Description
Most system traders can screen for tickers by price, volume, and volatility.
You can also add some overlays if you want and test those parameters also.
Here are a few thoughts on running screens.
Be mindful to find the data on the securities that don't trade anymore and add that data into your overall data to screen.
Else, you'll only be looking at survivors and it would be good to know how your rules would have worked if your model had initiated longs on ENE or BSC that eventually went bust, or other names that were taken over or merged.